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113 lines
2.8 KiB
Go
113 lines
2.8 KiB
Go
package rsicross
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import (
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"context"
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"fmt"
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"sync"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "rsicross"
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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common.Strategy
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Environment *bbgo.Environment
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Market types.Market
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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SlowWindow int `json:"slowWindow"`
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FastWindow int `json:"fastWindow"`
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OpenBelow fixedpoint.Value `json:"openBelow"`
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CloseAbove fixedpoint.Value `json:"closeAbove"`
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bbgo.OpenPositionOptions
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s:%s:%d-%d", ID, s.Symbol, s.Interval, s.FastWindow, s.SlowWindow)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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fastRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
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slowRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
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rsiCross := indicatorv2.Cross(fastRsi, slowRsi)
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rsiCross.OnUpdate(func(v float64) {
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switch indicatorv2.CrossType(v) {
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case indicatorv2.CrossOver:
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if s.OpenBelow.Sign() > 0 && fastRsi.Last(0) > s.OpenBelow.Float64() {
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return
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}
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opts := s.OpenPositionOptions
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opts.Long = true
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if price, ok := session.LastPrice(s.Symbol); ok {
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opts.Price = price
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}
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// opts.Price = closePrice
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opts.Tags = []string{"rsiCrossOver"}
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if _, err := s.OrderExecutor.OpenPosition(ctx, opts); err != nil {
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logErr(err, "unable to open position")
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}
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case indicatorv2.CrossUnder:
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if s.CloseAbove.Sign() > 0 && fastRsi.Last(0) < s.CloseAbove.Float64() {
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return
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}
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if err := s.OrderExecutor.ClosePosition(ctx, fixedpoint.One); err != nil {
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logErr(err, "failed to close position")
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}
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}
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})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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})
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return nil
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}
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func logErr(err error, msgAndArgs ...interface{}) bool {
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if err == nil {
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return false
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}
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if len(msgAndArgs) == 0 {
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log.WithError(err).Error(err.Error())
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} else if len(msgAndArgs) == 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Error(msg)
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} else if len(msgAndArgs) > 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Errorf(msg, msgAndArgs[1:]...)
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}
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return true
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}
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